Alternatives and similar repositories for cvxrisk

Users that are interested in cvxrisk are comparing it to the libraries listed below

• cvxgrp / cov_pred_finance
  ☆68Updated 5 months ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆27Updated 2 years ago
• cvxgrp / simulator
  Tool to support backtests
  ☆48Updated this week
• cvxgrp / cvxmarkowitz
  ☆31Updated this week
• cvxgrp / cvxcla
  critical line algorithm for efficient frontier
  ☆19Updated this week
• tschm / pyhrp
  Run hierarchical risk parity algorithms
  ☆50Updated this week
• scikit-portfolio / scikit-portfolio
  A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.
  ☆58Updated last year
• fortitudo-tech / entropy-pooling
  Entropy Pooling in Python with a BSD 3-Clause license.
  ☆40Updated last year
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆30Updated last year
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆26Updated 3 years ago
• tschm / cs
  my talk for credit suisse
  ☆41Updated this week
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆59Updated 3 years ago
• cvxgrp / cvxstatarb
  ☆33Updated 5 months ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated last year
• luphord / yield_curve_dynamics
  A cursory look at the dynamics of zero coupon bond yield curves.
  ☆15Updated 2 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 8 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• microprediction / monteprediction_colab_examples
  Monte Carlo Submission Examples
  ☆17Updated last year
• GGiecold-zz / pyRMT
  Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.
  ☆75Updated 7 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆69Updated last year
• bbcho / risktools-dev
  Risk tools for commodities trading and finance
  ☆36Updated this week
• omartinsky / AmericanMonteCarlo
  Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…
  ☆24Updated 5 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated last year
• vilen22 / curve-building
  Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.
  ☆22Updated 6 years ago
• AlessandroGnoatto / Deep-xVA-Solver
  Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633
  ☆19Updated 5 years ago
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆12Updated 7 years ago
• Farmhouse121 / Wilmott-Articles
  This contains notebooks and scripts used to support my writing in WILMOTT Magazine.
  ☆17Updated last year
• roederd / volatility_model_calibration_with_nn
  ☆16Updated 5 years ago
• amuguruza / RoughFCLT
  ☆21Updated 7 years ago